Approximate scenario solutions in the progressive hedging algorithm. A numerical study with an application to fisheries management

DOI10.1007/BF02204861zbMath0739.90047OpenAlexW2994321377MaRDI QIDQ1176857

Thorkell Helgason, Stein W. Wallace

Publication date: 25 June 1992

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02204861

zbMATH Keywords

scenario treefisheries managementprogressive hedging algorithmmultistage decision makingscenario aggregation principletime-discrete controllable process

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Dynamic programming in optimal control and differential games (49L20) Stochastic programming (90C15) Application models in control theory (93C95) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Computational methods for problems pertaining to operations research and mathematical programming (90-08)

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Cites Work

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• When Is a Multistage Stochastic Programming Problem Well-Defined?
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming